Most of my present research is performed in collaboration with
my colleagues Damiano Brigo,
Gianvittorio "The Master" Mauri and Fabio
Mercurio, so why not take a look at what they have to say.
I feel this picture well represents my general emotional state when working
Current
Research
Option pricing and hedging under the martingale approach
Efficient numerical methods (in particular, Monte Carlo and Quasi Monte
Carlo) applied to Finance
Efficient calibration of financial models onto actual market data
Smile effects, presently within the Equity and Foreign exchange markets
Risk Management
Interest Rates Modelling
Equity Derivatives Modelling; efficient numerical pricing of exotic options
and analytic approximations. In particular on this topic, Rita
Scotti (former student at the Statistics Dept. of the University
of Bologna and
stagiaire of mine) wrote her degree thesis entitled
Study
and applications of the Monte Carlo method for option pricing
(in Italian).
Rita also heroically dealt with the nitty-gritty details of our work on
Approximated
lognormal dynamics for basket options simulations.
Foreign Exchange Derivatives Modelling; study of smile
effects on pricing
Credit Derivatives Modelling
Earlier
Research in Physics
Quantum many-body physics; Correlation effects in fermionic/bosonic systems
Semiconductor and metal physics; Electronic structure theory; X-ray spectroscopy
of crystalline solids
Band structure theory (applied the Linear Muffin Tin Orbitals (LMTO)
calculation method in the Atomic Spheres Approximation (ASA) to
the study of electronic properties of the transition metals' disilicides
CoSi2, NiSi2 and to crystalline Ca)
Density functional theory; Simulation methods; Variational and Diffusion
Monte Carlo simulation for large bosonic and fermionic systems (for the
latter, within the so-called fixed node approximation) to study Wigner
crystallization and pairing phenomena in layered electronic systems
I feel this picture well represents my general emotional state when working